Overall Statistics
Total Trades
677
Average Win
0%
Average Loss
0%
Compounding Annual Return
0%
Drawdown
0%
Expectancy
0
Net Profit
0%
Sharpe Ratio
0
Probabilistic Sharpe Ratio
0%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0
Beta
0
Annual Standard Deviation
0
Annual Variance
0
Information Ratio
0
Tracking Error
0
Treynor Ratio
0
Total Fees
$1252.45
Estimated Strategy Capacity
$0
Lowest Capacity Asset
ZB WGJREGFGXHK5
 
class HipsterTanRabbit(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2016, 9, 20)  # Set Start Date
        self.SetEndDate(2016, 9, 23)
        self.SetCash(1_000_000)  # Set Strategy Cash
        # self.future = self.AddSecurity(SecurityType.Future, 'ZB20Z16', Resolution.Minute)
        self.continuousContract = self.AddFuture(Futures.Financials.Y30TreasuryBond, 
                                                 dataNormalizationMode = DataNormalizationMode.BackwardsRatio, 
                                                 dataMappingMode = DataMappingMode.OpenInterest, 
                                                 contractDepthOffset = 0)
                                                 


    def OnData(self, data):
        if not self.Time.day == 21:
            return
        if self.continuousContract.Symbol not in data.QuoteBars:
            return
        currentContract = self.Securities[self.continuousContract.Mapped]
        if self.Portfolio[currentContract.Symbol].IsLong:
            self.MarketOrder(currentContract.Symbol, -1)
            return
        elif self.Portfolio[currentContract.Symbol].IsShort:
            self.MarketOrder(currentContract.Symbol, 1)
            return
        else:
            self.MarketOrder(currentContract.Symbol, 1)